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Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-19
Verlag: 
MDPI, Basel
Zusammenfassung: 
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project with delayed investment right and prices its components. The last one identifies the premium/discount relative to a project with constant cost equal to the post-jump cost and prices its components. All formulas are in closed form. The behavior of optimal investment boundaries and valuation components are examined.
Schlagwörter: 
American option
real options
optimal stopping
random strike
early exercise premium
free-boundary problem
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